Efficient Frontier Forecast

Efficient Frontier Configuration

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Efficient Frontier Results

Provided Portfolio

Asset Class Allocation
Global Bonds (Unhedged) 50.00%
Global ex-US Stock Market 50.00%
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Tangency Portfolio

Asset Class Allocation
Global ex-US Stock Market 100.00%
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Performance Summary

Portfolio Statistics
PortfolioExpected ReturnStandard DeviationSharpe Ratio
Provided Portfolio4.75%11.06%0.03
Tangency Portfolio7.00%16.92%0.16

Efficient Frontier

Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Historical asset statistics are based on monthly returns from Jan 1992 to Dec 2022
  • The efficient frontier is based on the monthly returns, volatilities, and correlations of the specified assets
  • The displayed standard deviation and expected return in the efficient frontier are annualized from the monthly returns
  • Ex-ante Sharpe Ratio for the efficient frontier forecast is calculated using the current 3-month treasury bill return as the risk free rate (4.37% annualized)

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Global Bonds (Unhedged)2.50%7.48%-0.2500.00%100.00%
2Global ex-US Stock Market7.00%16.92%0.1550.00%100.00%
Results based on the provided capital market expectations. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate.

Asset Correlations

Asset Correlations
AssetGlobal Bonds (Unhedged)Global ex-US Stock Market
Global Bonds (Unhedged)1.000.58
Global ex-US Stock Market0.581.00
Based on monthly returns from Jan 1992 to Dec 2022

Efficient Frontier Portfolios

Efficient Frontier Points
#Global Bonds (Unhedged)Global ex-US Stock MarketExpected Return *Standard Deviation *Sharpe Ratio *
1100.00%0.00%2.50%7.48%-0.250
298.99%1.01%2.55%7.51%-0.243
397.98%2.02%2.59%7.54%-0.236
496.97%3.03%2.64%7.57%-0.229
595.96%4.04%2.68%7.60%-0.222
694.95%5.05%2.73%7.63%-0.215
793.94%6.06%2.77%7.67%-0.208
892.93%7.07%2.82%7.71%-0.201
991.92%8.08%2.86%7.75%-0.195
1090.91%9.09%2.91%7.80%-0.188
1189.90%10.10%2.95%7.84%-0.181
1288.89%11.11%3.00%7.89%-0.174
1387.88%12.12%3.05%7.95%-0.167
1486.87%13.13%3.09%8.00%-0.160
1585.86%14.14%3.14%8.05%-0.153
1684.85%15.15%3.18%8.11%-0.147
1783.84%16.16%3.23%8.17%-0.140
1882.83%17.17%3.27%8.23%-0.133
1981.82%18.18%3.32%8.30%-0.127
2080.81%19.19%3.36%8.36%-0.121
2179.80%20.20%3.41%8.43%-0.114
2278.79%21.21%3.45%8.50%-0.108
2377.78%22.22%3.50%8.57%-0.102
2476.77%23.23%3.55%8.64%-0.096
2575.76%24.24%3.59%8.72%-0.090
2674.75%25.25%3.64%8.79%-0.084
2773.74%26.26%3.68%8.87%-0.078
2872.73%27.27%3.73%8.95%-0.072
2971.72%28.28%3.77%9.03%-0.066
3070.71%29.29%3.82%9.11%-0.061
3169.70%30.30%3.86%9.20%-0.055
3268.69%31.31%3.91%9.28%-0.050
3367.68%32.32%3.95%9.37%-0.045
3466.67%33.33%4.00%9.45%-0.039
3565.66%34.34%4.05%9.54%-0.034
3664.65%35.35%4.09%9.63%-0.029
3763.64%36.36%4.14%9.72%-0.024
3862.63%37.37%4.18%9.82%-0.019
3961.62%38.38%4.23%9.91%-0.015
4060.61%39.39%4.27%10.01%-0.010
4159.60%40.40%4.32%10.10%-0.005
4258.59%41.41%4.36%10.20%-0.001
4357.58%42.42%4.41%10.30%0.004
4456.57%43.43%4.45%10.40%0.008
4555.56%44.44%4.50%10.49%0.012
4654.55%45.45%4.55%10.60%0.016
4753.54%46.46%4.59%10.70%0.020
4852.53%47.47%4.64%10.80%0.025
4951.52%48.48%4.68%10.90%0.028
5050.51%49.49%4.73%11.01%0.032
5149.49%50.51%4.77%11.11%0.036
5248.48%51.52%4.82%11.22%0.040
5347.47%52.53%4.86%11.33%0.043
5446.46%53.54%4.91%11.43%0.047
5545.45%54.55%4.95%11.54%0.051
5644.44%55.56%5.00%11.65%0.054
5743.43%56.57%5.05%11.76%0.057
5842.42%57.58%5.09%11.87%0.061
5941.41%58.59%5.14%11.98%0.064
6040.40%59.60%5.18%12.09%0.067
6139.39%60.61%5.23%12.20%0.070
6238.38%61.62%5.27%12.32%0.073
6337.37%62.63%5.32%12.43%0.076
6436.36%63.64%5.36%12.54%0.079
6535.35%64.65%5.41%12.66%0.082
6634.34%65.66%5.45%12.77%0.085
6733.33%66.67%5.50%12.89%0.088
6832.32%67.68%5.55%13.00%0.090
6931.31%68.69%5.59%13.12%0.093
7030.30%69.70%5.64%13.24%0.096
7129.29%70.71%5.68%13.35%0.098
7228.28%71.72%5.73%13.47%0.101
7327.27%72.73%5.77%13.59%0.103
7426.26%73.74%5.82%13.71%0.106
7525.25%74.75%5.86%13.83%0.108
7624.24%75.76%5.91%13.95%0.110
7723.23%76.77%5.95%14.07%0.113
7822.22%77.78%6.00%14.19%0.115
7921.21%78.79%6.05%14.31%0.117
8020.20%79.80%6.09%14.43%0.119
8119.19%80.81%6.14%14.55%0.121
8218.18%81.82%6.18%14.67%0.123
8317.17%82.83%6.23%14.80%0.125
8416.16%83.84%6.27%14.92%0.127
8515.15%84.85%6.32%15.04%0.129
8614.14%85.86%6.36%15.16%0.131
8713.13%86.87%6.41%15.29%0.133
8812.12%87.88%6.45%15.41%0.135
8911.11%88.89%6.50%15.53%0.137
9010.10%89.90%6.55%15.66%0.139
919.09%90.91%6.59%15.78%0.141
928.08%91.92%6.64%15.91%0.142
937.07%92.93%6.68%16.03%0.144
946.06%93.94%6.73%16.16%0.146
955.05%94.95%6.77%16.28%0.147
964.04%95.96%6.82%16.41%0.149
973.03%96.97%6.86%16.54%0.151
982.02%97.98%6.91%16.66%0.152
991.01%98.99%6.95%16.79%0.154
1000.00%100.00%7.00%16.92%0.155
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate.